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  1. Can Google search data help predict macroeconomic series?
    Author: Niesert, Robin; Oorschot, Jochem; Veldhuisen, Chris; Brons, Kester; Lange, Rutger-Jan
    Published: [2019]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We use Google search data with the aim of predicting unemployment, CPI and consumer confidence for the US, UK, Canada, Germany and Japan. Google search queries have previously proven valuable in predicting macroeconomic variables in an in-sample... more

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    We use Google search data with the aim of predicting unemployment, CPI and consumer confidence for the US, UK, Canada, Germany and Japan. Google search queries have previously proven valuable in predicting macroeconomic variables in an in-sample context. To our knowledge, the more challenging question of whether such data have out-of-sample predictive value has not yet been satisfactorily answered. We focus on out-of-sample nowcasting, and extend the Bayesian Structural Time Series model using the Hamiltonian sampler for variable selection. We find that the search data retain their value in an out-of-sample predictive context for unemployment, but not for CPI and consumer confidence. It may be that online search behaviour is a relatively reliable gauge of an individual's personal situation (employment status), but less reliable when it comes to variables that are unknown to the individual (CPI) or too general to be linked to specific search terms (consumer confidence).

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/205311
    Series: Array ; TI 2019, 021
    Subjects: Bayesian methods; forecasting practice; Kalman filter; macroeconomic forecasting; state space models; nowcasting; spike-and-slab; Hamiltonian sampler
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  2. Size and persistence matter
    wage and employment insurance at the micro level
    Author: Kerndler, Martin
    Published: May 19, 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    Firms provide substantial insurance against wage fluctuations and job loss. This paper studies how the interaction between shock size and persistence affects the firm’s ability to insure workers against idiosyncratic firm-level shocks. Using linked... more

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    Firms provide substantial insurance against wage fluctuations and job loss. This paper studies how the interaction between shock size and persistence affects the firm’s ability to insure workers against idiosyncratic firm-level shocks. Using linked employer-employee data from Germany, I find that wages respond largely symmetrically to positive and negative permanent shocks. Whereas transitory shocks lead to upward wage rigidity. Individual layoff probabilities only increase in response to negative permanent shocks. Interestingly, wage cuts and job loss after negative shocks are limited to blue-collar workers. Whereas white-collar workers are fully insured against negative shocks both in terms of wages and employment.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/203493
    Series: Array ; Array
    Subjects: wage insurance; layoffs; linked employer-employee data; Kalman filter
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. Construction of a survey-based measure of output gap
    Author: Benčík, Michal
    Published: April2019
    Publisher:  National Bank of Slovakia, Bratislava

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NSB Working paper / National Bank of Slovakia ; 2019,3
    Subjects: output gap; survey indicators; principal components; Kalman filter
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  4. Indeterminacy and imperfect information
    Author: Lubik, Thomas A.; Matthes, Christian; Mertens, Elmar
    Published: 2019
    Publisher:  The Federal Reserve Bank of Richmond, Richmond

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper series / The Federal Reserve Bank of Richmond ; WP 19, 17
    Subjects: Limited information; rational expectations; Kalman filter; belief shocks
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  5. Riders on the storm
    Author: Jordà, Òscar; Taylor, Alan M.
    Published: 2019
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2019, 20 (September 2019)
    Subjects: neutral rate of interest; monetary policy stance; state-space model; Kalman filter
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  6. Anchored inflation expectations and the flatter Phillips curve
    Author: Jørgensen, Peter Lihn; Lansing, Kevin J.
    Published: 2019
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2019, 27 (November 2019)
    Subjects: In‡flation expectations; Phillips curve; Infla‡tion puzzles; Kalman filter
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
    Notes:

    This paper was previously circulated under the title: “Infl‡ation Puzzles in the New Keynesian Model: The Implications of Anchored Expectations
  7. Expectations anchoring indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term
    Author: Oliveira, Fernando Nascimento de; Gaglianone, Wagner Piazza
    Published: August 2019
    Publisher:  Banco Central do Brasil, Brasília, DF, Brazil

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    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Banco Central do Brasil ; 497
    Subjects: inflation; expectation; anchoring; Kalman filter; Brazil
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  8. Time-varying cointegration and the Kalman filter
    Author: Eroğlu, Burak Alparslan; Miller, J. Isaac; Yigit, Taner M.
    Published: June 25, 2019
    Publisher:  Department of Economics, University of Missouri, Columbia, MO

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Department of Economics ; 19, 05
    Subjects: time-varying cointegration; Kalman filter; spurious regression
    Scope: 1 Online-Ressource (circa 24 Seiten)
  9. Size and persistence matter
    wage and employment insurance at the micro level
    Author: Kerndler, Martin
    Published: May 2019
    Publisher:  TU Wien, SWM ECON, Economics, Vienna, Austria

    Firms provide substantial insurance against wage fl uctuations and job loss. This paper studies how the interaction between shock size and persistence affects the firm's ability to insure workers against idiosyncratic firm-level shocks. Using linked... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 386
    Inter-library loan:
    No inter-library loan

     

    Firms provide substantial insurance against wage fl uctuations and job loss. This paper studies how the interaction between shock size and persistence affects the firm's ability to insure workers against idiosyncratic firm-level shocks. Using linked employer-employee data from Germany, I find that wages respond largely symmetrically to positive and negative permanent shocks. Whereas transitory shocks lead to upward wage rigidity. Individual layoff probabilities only increase in response to negative permanent shocks. Interestingly, wage cuts and job loss after negative shocks are limited to blue-collar workers. Whereas white-collar workers are fully insured against negative shocks both in terms of wages and employment.

     
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    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/197214
    Series: ECON WPS ; 2019, 04
    Subjects: wage insurance; layoffs; linked employer-employee data; Kalman filter
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen